# Models for inflation prediction

I am looking for some statistical models that are accepted to best predict inflation rates. Anything that is more complicated than linear model will be appreciated. Or even recommend books that discuss inflation predictions.

I would also be interested in models that could relate inflation to GDP(or some form of feature extracted from gdp).

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Haha, good luck with that. There is no broad consensus whatsoever. On one front we have people who believe GDP and inflation are orthogonal, on the other we have a lot of people with a lot of ideas on what causes inflation - everyone with his own. I'm afraid in its current state, this question is too broad. –  FooBar Dec 8 '14 at 16:00
Ok what about the banks and all the interested entities on the marked. Surely they already use some models for prediction. –  Zee Dec 8 '14 at 16:05
Right, they do large-scale VARs and NK-models. Basically, they throw in anything they have and hope to increase $R^2$. However, this is not a practice that's is really accepted in academia. But, as you say, central banks gotta do something... So if you rephrase the question as this and remove academic acceptance, I think it's answerable. –  FooBar Dec 8 '14 at 16:08
See pp391-395 here: www-personal.umich.edu/~samoore/bit885f2011/hendry-alchemy.pdf (sorry, I couldn't resist). –  Ubiquitous Dec 8 '14 at 19:51
VAR, S-VAR, VEC, VAR-X, and in the last time bayesian VAR –  user157623 Dec 9 '14 at 2:23